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nym21
2026-03-07 01:23:16 +01:00
parent a29ae29487
commit 7b60a5b060
5 changed files with 65 additions and 98 deletions
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64
crates/brk_computer/src/distribution/metrics/realized/base.rs
View File

@@ -16,8 +16,7 @@ use crate::{
ComputedFromHeight, ComputedFromHeightCumulative,
ComputedFromHeightRatioPercentiles, FiatFromHeight,
LazyFromHeight, NegCentsUnsignedToDollars, PercentFromHeight, RatioCents64,
RatioCentsBp32, RatioCentsSignedCentsBps32, RollingEmas1w1m, RollingEmas2w,
RollingWindows, ValueFromHeightCumulative,
RatioCentsBp32, RatioCentsSignedCentsBps32, RollingWindows, ValueFromHeightCumulative,
},
prices,
};
@@ -37,12 +36,8 @@ pub struct RealizedBase<M: StorageMode = Rw> {
pub neg_realized_loss: LazyFromHeight<Dollars, Cents>,
pub net_realized_pnl: ComputedFromHeightCumulative<CentsSigned, M>,
pub net_realized_pnl_ema_1w: ComputedFromHeight<CentsSigned, M>,
pub gross_pnl: FiatFromHeight<Cents, M>,
pub realized_profit_ema_1w: ComputedFromHeight<Cents, M>,
pub realized_loss_ema_1w: ComputedFromHeight<Cents, M>,
pub realized_profit_rel_to_realized_cap: PercentFromHeight<BasisPoints32, M>,
pub realized_loss_rel_to_realized_cap: PercentFromHeight<BasisPoints32, M>,
pub net_realized_pnl_rel_to_realized_cap: PercentFromHeight<BasisPointsSigned32, M>,
@@ -52,14 +47,11 @@ pub struct RealizedBase<M: StorageMode = Rw> {
pub value_created_sum: RollingWindows<Cents, M>,
pub value_destroyed_sum: RollingWindows<Cents, M>,
pub sopr: RollingWindows<StoredF64, M>,
pub sopr_24h_ema: RollingEmas1w1m<StoredF64, M>,
pub realized_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
pub sent_in_profit: ValueFromHeightCumulative<M>,
pub sent_in_loss: ValueFromHeightCumulative<M>,
pub sent_in_profit_ema: RollingEmas2w<M>,
pub sent_in_loss_ema: RollingEmas2w<M>,
}
impl RealizedBase {
@@ -76,11 +68,7 @@ impl RealizedBase {
cfg.indexes,
);
let realized_profit_ema_1w = cfg.import("realized_profit_ema_1w", v0)?;
let realized_loss_ema_1w = cfg.import("realized_loss_ema_1w", v0)?;
let net_realized_pnl = cfg.import("net_realized_pnl", v0)?;
let net_realized_pnl_ema_1w = cfg.import("net_realized_pnl_ema_1w", v0)?;
let gross_pnl = cfg.import("realized_gross_pnl", v0)?;
let realized_profit_rel_to_realized_cap =
@@ -95,7 +83,6 @@ impl RealizedBase {
let value_created_sum = cfg.import("value_created", v1)?;
let value_destroyed_sum = cfg.import("value_destroyed", v1)?;
let sopr = cfg.import("sopr", v1)?;
let sopr_24h_ema = cfg.import("sopr_24h", v1)?;
let realized_price_ratio_percentiles =
ComputedFromHeightRatioPercentiles::forced_import(
@@ -110,10 +97,7 @@ impl RealizedBase {
realized_cap_change_1m: cfg.import("realized_cap_change_1m", v0)?,
neg_realized_loss,
net_realized_pnl,
net_realized_pnl_ema_1w,
gross_pnl,
realized_profit_ema_1w,
realized_loss_ema_1w,
realized_profit_rel_to_realized_cap,
realized_loss_rel_to_realized_cap,
net_realized_pnl_rel_to_realized_cap,
@@ -122,12 +106,9 @@ impl RealizedBase {
value_created_sum,
value_destroyed_sum,
sopr,
sopr_24h_ema,
realized_price_ratio_percentiles,
sent_in_profit: cfg.import("sent_in_profit", v0)?,
sent_in_loss: cfg.import("sent_in_loss", v0)?,
sent_in_profit_ema: cfg.import("sent_in_profit", v0)?,
sent_in_loss_ema: cfg.import("sent_in_loss", v0)?,
})
}
@@ -240,25 +221,6 @@ impl RealizedBase {
exit,
)?;
self.realized_profit_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.minimal.realized_profit.height,
exit,
)?;
self.realized_loss_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.minimal.realized_loss.height,
exit,
)?;
self.net_realized_pnl_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.net_realized_pnl.height,
exit,
)?;
self.realized_profit_rel_to_realized_cap
.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
@@ -311,14 +273,6 @@ impl RealizedBase {
)?;
}
self.sopr_24h_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&blocks.count.height_1m_ago,
&self.sopr._24h.height,
exit,
)?;
// Realized price ratio percentiles
self.realized_price_ratio_percentiles.compute(
blocks,
@@ -328,22 +282,6 @@ impl RealizedBase {
&self.minimal.realized_price.cents.height,
)?;
// Sent in profit/loss EMAs
self.sent_in_profit_ema.compute(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.sent_in_profit.base.sats.height,
&self.sent_in_profit.base.cents.height,
exit,
)?;
self.sent_in_loss_ema.compute(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.sent_in_loss.base.sats.height,
&self.sent_in_loss.base.cents.height,
exit,
)?;
Ok(())
}
}

65
crates/brk_computer/src/distribution/metrics/realized/full.rs
View File

@@ -19,7 +19,7 @@ use crate::{
ComputedFromHeightRatioStdDevBands, LazyFromHeight, PercentFromHeight,
PercentRollingEmas1w1m, PercentRollingWindows, Price, RatioCents64, RatioCentsBp32,
RatioCentsSignedCentsBps32, RatioCentsSignedDollarsBps32, RatioDollarsBp32,
RollingWindows,
RollingEmas1w1m, RollingEmas2w, RollingWindows,
},
prices,
};
@@ -70,6 +70,15 @@ pub struct RealizedFull<M: StorageMode = Rw> {
pub realized_loss_sum: RollingWindows<Cents, M>,
pub realized_profit_to_loss_ratio: RollingWindows<StoredF64, M>,
pub realized_profit_ema_1w: ComputedFromHeight<Cents, M>,
pub realized_loss_ema_1w: ComputedFromHeight<Cents, M>,
pub net_realized_pnl_ema_1w: ComputedFromHeight<CentsSigned, M>,
pub sopr_24h_ema: RollingEmas1w1m<StoredF64, M>,
pub sent_in_profit_ema: RollingEmas2w<M>,
pub sent_in_loss_ema: RollingEmas2w<M>,
pub realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
pub investor_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
}
@@ -125,6 +134,13 @@ impl RealizedFull {
let investor_price_name = cfg.name("investor_price");
let investor_price_version = cfg.version;
let realized_profit_ema_1w = cfg.import("realized_profit_ema_1w", v0)?;
let realized_loss_ema_1w = cfg.import("realized_loss_ema_1w", v0)?;
let net_realized_pnl_ema_1w = cfg.import("net_realized_pnl_ema_1w", v0)?;
let sopr_24h_ema = cfg.import("sopr_24h", v1)?;
let sent_in_profit_ema = cfg.import("sent_in_profit", v0)?;
let sent_in_loss_ema = cfg.import("sent_in_loss", v0)?;
Ok(Self {
core,
profit_value_created,
@@ -155,6 +171,12 @@ impl RealizedFull {
realized_loss_sum: cfg.import("realized_loss", v1)?,
realized_profit_to_loss_ratio: cfg
.import("realized_profit_to_loss_ratio", v1)?,
realized_profit_ema_1w,
realized_loss_ema_1w,
net_realized_pnl_ema_1w,
sopr_24h_ema,
sent_in_profit_ema,
sent_in_loss_ema,
realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands::forced_import(
cfg.db,
&realized_price_name,
@@ -266,6 +288,47 @@ impl RealizedFull {
exit,
)?;
// EMAs
self.realized_profit_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.minimal.realized_profit.height,
exit,
)?;
self.realized_loss_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.minimal.realized_loss.height,
exit,
)?;
self.net_realized_pnl_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.net_realized_pnl.height,
exit,
)?;
self.sopr_24h_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&blocks.count.height_1m_ago,
&self.core.sopr._24h.height,
exit,
)?;
self.sent_in_profit_ema.compute(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.core.sent_in_profit.base.sats.height,
&self.core.sent_in_profit.base.cents.height,
exit,
)?;
self.sent_in_loss_ema.compute(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.core.sent_in_loss.base.sats.height,
&self.core.sent_in_loss.base.cents.height,
exit,
)?;
// Gross PnL rolling sum
let window_starts = blocks.count.window_starts();
self.gross_pnl_sum.compute_rolling_sum(